Three essays on ESG management and investing

다국어 초록 (Multilingual Abstract)

Recently, interest in ESG management is rapidly increasing around the world. Despite the high interest in ESG, the empirical analysis of the investment field is insufficient. So it is difficult to lead to actual investment. Therefore, in order to increase the legitimacy and sustainability of ESG investment, effectiveness analysis and methodology establishment are currently the most important. It is very meaningful to empirically analyze a company's financial performance using domestic and foreign data.
This study conducted an empirical analysis centering on three themes. First, the relationship between ESG and corporate financial performance was analyzed using ESG rating and related variables. The impact of ESG on financial performance and the inverse causality were also analyzed. The inverse causality (ESG rating results can be determined by financial variables and financial performance) was verified. In addition, an empirical analysis was conducted on major explanatory variables (credit rating, audit, foreign ownership ratio), which are always mentioned in ESG effectiveness analysis.
Next, an empirical analysis was conducted to compare the effects of ESG investment with major countries. As domestic ESG investment is insufficient compared to major countries, various discussions can be derived through direct effect analysis with major countries. And there are few cases in which domestic ESG effectiveness has been directly compared with overseas ESG effectiveness. Therefore, the importance is higher.
Finally, the ESG effectiveness of public institutions was analyzed. In Korea, various policy related to ESG are granted to public institutions. Public institutions play a very important role in enhancing the effectiveness of domestic ESG investment. Therefore, this study quantitatively analyzes the ESG effectiveness of domestic public institutions. Among public institutions, the NPS (National Pension Service) has a significant impact on domestic ESG investment performance. Therefore, the effectiveness of ESG investment by the NPS was analyzed. Finally, the possibility of introducing UBI (Usage Based Insurance) is reviewed.
As a result of the empirical analysis, ESG investment by domestic companies has a significant positive (+) effect on Tobin’s Q. It has a significant negative (-) effect on ROA. Inverse causality in which financial variables affect ESG is more significant. Analysis results of foreign countries are similar to this, and in Korea, the explanatory power and validity of the research model were higher than those of other countries. It seems that domestic ESG investment is concentrated in major companies compared to other countries. In Korea, companies with Refinitiv scores have high ESG investment capabilities and high efficiency. Finally, as a result of the ESG effectiveness analysis of public institutions, labor management have a positive (+) significant effect on customer satisfaction. Ethical management has a positive (+) significant effect on integrity. Whether or not to invest in the NPS has a significant impact on financial performance and ESG rating results, but the inverse causality is stronger. The applicability of UBI was reviewed using the DTG (Digital Tacho Graph) system. A negative (-) correlation was observed between some dangerous behaviors and accidents, but the significance was low.

국문 초록 (Abstract)

최근 전 세계적으로 ESG 경영에 대한 관심이 급증하고 있다. 재무성과 중심의 성과관리가 전통적인 경영전략에서의 중요 관심사였다면, ESG 경영은 비재무성과 관리와 공시를 중요시한다. 이러한 트랜드는 기업 경영과 가치에 직결된 이해관계자들이 ESG 경영의 확대를 요구하며 가속화되고 있다. 정부는 K-ESG 가이드라인을 발표하여 기업의 ESG 경영과 평가대응 방향을 제시하였으며, 투자자들의 ESG 요구 증대로 인하여 스튜어드십 코드 강화와 기관투자자들의 ESG 활용이 지속적으로 확대되고 있다.
세계 최대 자산 운용사인 블랙록에서 ESG를 새로운 투자기준으로 제시하면서 각 경제 주체들이 ESG 경영에 대응하고 있다. 각 경제단체와 대기업은 ESG 관련 정책 및 목표를 선언하고 ESG 위원회와 전담조직 등을 설치하여 운영하고 있으며, 민간 컨설팅. 신용평가. 언론사 등은 ESG 컨설팅과 평가에 적극 참여하면서 ESG 서비스의 생태계를 조성하고 있다. 국내 주요 연기금 및 금융기관도 ESG 평가시스템을 구축하고 관련사업 출시에 집중하여 ESG를 반영한 투자전략을 추진하고 있다.
국내의 ESG 열풍에도 불구하고 투자영역은 실증분석이 충분치 않아 실제 투자까지 이어지기 어려운 측면이 존재한다. 따라서 ESG 투자의 정당성과 지속가능성을 높이기 위해 데이터에 기반한 효과성 분석과 방법론 정립이 현 시점의 가장 중요한 사안으로 볼 수 있다. 이에 국내외 데이터를 활용하여 기업의 재무성과와 실증분석을 진행하는 것은 큰 의미가 있다.
본 연구는 세가지 주제로 중심으로 실증분석을 진행하였다. 첫 번째로, 국내 ESG 평가기관과 관련지수를 활용하여 ESG가 기업 재무성과에 미치는 상관성과 인과성을 분석하였다. ESG가 재무성과에 미치는 영향과 역의 인과성도 분석하여 재무지표 및 재무성과에 의해 ESG 평가결과가 결정될 수 있다는 역의 인과관계를 검증하였다. 또한 ESG 효과성 분석에서 항상 언급되는 신용등급, 회계감사수준 (감사법인의 빅4여부), 외국인지분율을 주요 설명변수로 하는 실증분석을 실시하였다.
다음으로 ESG 투자의 효과성을 주요 선진국과 비교하는 실증분석을 시행하였다. 국내 ESG 투자는 선진국에 비해 부족한 만큼, 주요 국가와의 직접적인 효과성 분석을 통해 다양한 시사점을 도출할 수 있다. 특히 국내 ESG 효과성을 분석한 기존 연구 중 국외 ESG 효과성과 직접 비교한 사례가 거의 없는 만큼, 그 중요성은 매우 높다고 할 수 있다.
마지막으로 공공기관의 ESG 효과성을 다각적인 측면에서 분석하였다. 국내의 경우 공공기관에 ESG와 관련한 다양한 정책 권한이 부여되어 있어, 국내의 ESG 투자의 효과성을 높이기 위해서는 공공기관의 ESG 경영의 선행이 반드시 필요하다. 따라서 본 연구에서는 국내 공공기관의 ESG 경영 효과성을 계량적으로 분석하고, 공공기관 중 국내 ESG 투자성과에 큰 영향을 미치는 국민연금공단의 ESG 투자의 효과성을 분석한다. 공공기관 주요 사업 중 운행기록 분석시스템의 효과성을 분석하여 자동차 UBI 보험 도입 가능성을 검토, 공공사업의 방향성을 제시한다.
실증분석 결과, 국내기업의 ESG 투자는 Tobin’s Q에는 양(+)의 유의한 영향을, ROA에는 유의한 음(-)의 영향을 미치며 인과관계 분석은 재무성과가 ESG 평가결과에 영향을 미치는 역의 인과관계가 보다 타당한 것으로 나타났다. 해외 국가의 효과성 분석결과도 이와 유사하며, 특히 국내 기업의 경우 모형의 설명력과 효과성이 타 국가에 비해 높게 나타났다. 이는 국내시장의 ESG 투자가 특히 다른 국가에 비해 대기업 중심으로 편중되었기 때문에 관측되는 현상으로 보인다. 여유자원이론(slack resource theory)과 같이 규모가 큰 기업 위주로 구성된 한국의 경우 표본 기업들이 ESG 투자 여력이 높아 높은 효과성으로 이어진 것으로 볼 수 있다. 마지막으로 공공기관의 ESG 효과성 분석결과 고객만족도는 노사관계가, 청렴도는 윤리경영 수준이 양(+)의 유의한 영향을 미치는 것을 확인할 수 있었다. 국민연금공단의 투자여부는 재무성과와 ESG 평가결과에 유의한 영향을 미치는 것으로 확인되었으나 역의 인과성이 보다 높은 것이 확인하였다. 운행기록분석시스템을 활용한 UBI 적용가능성을 검토한 결과, 일부 위험행동과 사고발생과는 음(-)의 상관성이 관측되나 유의성이 낮음을 확인할 수 있었다.
본 연구를 통해 ESG 투자를 다각적이고 측면에서 검토하고 주요국가와의 비교분석까지 연구범위를 확장하였으며, 공공기관의 ESG 효과성 분석 등 새로운 분야의 접근을 시도하였다. 따라서 본 연구의 재검증과 필요한 수정을 위한 후속연구를 미래 연구자들에게 요청한다.

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